Because of my background with Black Flag and Freedom I sometimes get asked for advice on sorting out print jobs for small leftie publications. So here's a very quick rundown of the issues you might want to think about.
Generally the prices of printing vary pretty widely depending on what you want out of it, and there's a number of different factors which most printers will ask about:
Paper is weighed under the GSM scale, with loo roll coming in at around 16gsm, newsprint at 45 and light cardboard at around 200. Generally the heavier the paper the more it costs, both to print on and to post out, however there are benefits like a better print quality and the "heft" factor (people tend to subconsciously respect heavier paper as a quality product).
Matt or glossy
Generally untreated paper like you get in your home printer is again cheaper, but will produce a much lower-quality job and is more liable to smudge. Glossy paper is more expensive, but can produce a very high-quality print job on much lighter gsm pages. On top of this is the option to "coat" your pages to avoid the ink rubbing off, this is often useful for highly-inked (graphical) cover pages which tend to get a lot more wear and tear.
As the technology has changed, the cost of colour has dramatically reduced, but it is still more expensive to colourise more pages. The print/fold system means colour page counts go up in tranches of two (eg. one flat A3 page is folded into two A4s) and for older readers, it is rarely the case any more that spot (eg just using red and black) is less expensive than full colour.
As a quick tip to layout people, printers will usually do a better job of matching your colours to their printing if you convert pictures to a CMYK format in photoshop rather than leaving them in RGB which is the web standard. It's under image > mode.
Page count and the run
Obviously the more you do the greater the expense and due to the nature of print and fold page count goes up by four pages at a time. Small print runs with high page counts are MUCH more expensive to do via commercial printers because of the production cost for "plates" (the molds used in lithographic printing to reproduce pages) and labour, but get progressively cheaper per magazine as the run goes up (once it's started printing the only costs are machine time, paper and ink).
For this reason, if your run is very low and your page count very high it might be worth looking into print on demand services which offer a fixed "per copy" price rather than one using economies of scale - though if you do this make sure you know exactly how many you're going to be selling because there's much less room for error. The basic rule is that with anything under 500 it's probably worth looking into digital on-demand printing, above that and lithographic services are best.
This can actually be quite restrictive depending on the printer. A4 and A3 are the two most common sizes for mass printing and usually (though not always) you can get the final publication folded and stapled in the same place - though you'll probably pay for the extra. Make sure you're not getting bilked on it though, it can on occasion be cheaper to send it to a separate group for the fold. For A1 and A2 it can actually be a bit of a hassle in itself sorting out fold/staple so it's worth asking what the printer can manage and how much it costs.
This isn't really an issue up to about 48 pages, as a staple will usually do the trick (again, depending on paper weight) for smaller paper sizes and at A3 it'll usually keep its integrity without any binding at all. The topic's Wikipedia page covers most of the options if you're aiming to go bigger than that.
Picking a printer
Generally it's worth emailing or ringing around several different providers to get a quote. Having your printer nearby can be useful for a smaller publisher because you can badger them about getting yours done (there is a tendency to relegate lower-run stuff if a big order comes in) and can get it delivered sooner, but there are huge discrepancies across the industry as to the quality and pricing of work at smaller scales so if you don't like the job done first time round don't be afraid to switch to someone else.